Another possibility for Warhammer "mermaids" could be some kind of ocean spirit similar to the tree spirits of Athel Loren.
For example Nereids being a seaborne version of Dryads.
<Sirist> As Malus's hateful hate-juice hit his hateful opponents, each one exploded into a bloodmist, while Malus hatefully screamed, "Blood and skulls for Khorne -- I mean, Khaine!"